The Causal Impact of Media in Financial Markets
通过比较同一信息事件下不同媒体报道的投资者行为，发现地方媒体报道显著预测地方交易，且与报道时机密切相关，为媒体因果影响提供了证据。
ABSTRACT Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all earnings announcements of S&P 500 Index firms, we find that local media coverage strongly predicts local trading, after controlling for earnings, investor, and newspaper characteristics. Moreover, local trading is strongly related to the timing of local reporting, a particular challenge to nonmedia explanations.